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ameriprise april_Invested_Asset_FINALpm1
1. Appendix โ as of 03/31/2008
Investment portfolio as of 03/31/2008
Financial Guarantors - $686 million of total exposure
โข No wrapped transactions, no direct investments in
guarantors, no exposure to guarantors in the Ameriprise
liquidity facilities
โข Investment decisions based on the integrity of the
underlying cash flows
โข $563 million of enhanced municipal securities
โ Enhanced securities comprise almost 50% of the
municipal market
โข $123 million of enhanced asset back securities
2. Appendix โ as of 03/31/2008
Structured asset portfolio - $10.1 billion
โข $6.2 billion RMBS, $2.9 billion CMBS, $1.0 billion ABS
Residential mortgage backed securities portfolio of $6.2
billion is 97% AAA-rated
โข Agency mortgage exposure totals $4,544 million
โ Stable prepayment profile with less negative
convexity and interest rate sensitivity than the MBS
index
โ Portfolio has a higher coupon bias which should
perform well in a rising interest rate environment
โข Prime mortgage exposure totals $516 million
โ $421 million is AAA-rated and $95 million is AA-
rated
3. Appendix โ as of 03/31/2008
Residential mortgage backed securities (contโd)
โข Alt A exposure is $1,095 million
โ $984 million is AAA-rated, $104 million AA-rated and
$7 million A-rated
โ Majority of Alt-A holdings are โsuper seniorโ bonds
ยป Greater credit enhancement than required to get a
AAA rating
โ Market value of 81% of book as of 03/31/2008
4. Appendix โ as of 03/31/2008
Commercial mortgage backed securities portfolio - $2.9 billion
exposure
โข Entirely AAA-rated
โข Seasoned collateral, predominantly 2005 or earlier vintages
โ Lower delinquency rates than the overall CMBS market
โข Market value of 99% of book as of 3/31/2008
Asset backed securities portfolio - $1.0 billion exposure
โข 94% AAA-rated
โข $437 million are securitized small business loans backed by
the full faith and credit of the US government.
โข $347 million - primarily credit cards, automobile loans, and
student loans, 89% AAA-rated.
5. Appendix โ as of 03/31/2008
Asset backed securities portfolio (contโd)
โข $247 million of securities back by subprime residential
mortgages, less than 1% of the Ameriprise portfolio
โ $221 million are senior AAA-rated tranches, $16
million are AA-rated, and $10 million are BBB-rated
โ High quality exposure - short duration, with limited
negative convexity
โ Market value of 90% of book as of 3/31/2008
Commercial real estate - $3.1 billion exposure
โข Average loan to value ratio of 54%
โข Solid weighted average debt service coverage ratio of
1.82x
โข No delinquencies over the past year
6. Appendix โ as of 03/31/2008
Corporate credit - $13.5 billion exposure
โข Investment grade portfolio is highly diversified and well
positioned with a preference toward non-cyclicals and a
bias toward regulated industries and asset rich-companies
โข High yield portfolio includes $1.5 billion in below investment
grade bonds and $0.3 billion in bank loans, comprising 5%
of the investment portfolio
โ Highly diversified with a focus on credits that can
generate free cash flow through economic cycles
โข Homebuilders - $168 million exposure
โ As of 03/31/2008, unrealized losses on homebuilders
were $30 million